This article surveys recent research on the usefulness of the term spread (ie, the difference
between the yields on long-term and short-term Treasury securities) for predicting changes …

Are asset prices useful predictors of inflation and real output growth? After reviewing the
large literature on this topic, we undertake an empirical analysis of quarterly data for seven …

The objective of this paper is to improve the accuracy of financial and monetary forecasts of
Canadian output growth by using leading indicator neural network models. We find that …

We propose a new generalized forecast error variance decomposition with the attractive
property that the proportions of the impact accounted for by innovations in each variable sum …

Artificial neural networks (ANNs) have been widely applied to finance and economic
forecasting as a powerful modeling technique. By reviewing the related literature, we …

This article introduces a new regression model—Markov-switching mixed data sampling
(MS-MIDAS)—that incorporates regime changes in the parameters of the mixed data …

Linear Vector Autoregression (VAR) models provide a useful starting point for analysing
multivariate relationships between economic variables. They are frequently used for …

This study examines the short‐term volatility of natural gas prices through an examination of
the intraday prices of the nearby natural gas futures contract traded on the New York …

Although the spread has been established as a leading indicator of economic activity, recent
studies in US and European Union (EU) countries have documented, theoretically and …

This paper investigates the predictive ability of financial variables for euro area growth
through bivariate and multivariate non-parametric Granger causality tests. Apart from …